Claudia La Chioma

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We study the numerical approximation of viscosity solutions for integro-differential, possibly degenerate, parabolic problems. Similar models arise in option pricing, to generalize the celebrated Black–Scholes equation, when the processes which generate the underlying stock returns may contain both a continuous part and jumps. Convergence is proven for(More)
We derive error estimates for approximate (viscosity) solutions of Bellman equations associated to controlled jump-diffusion processes, which are fully nonlinear integro-partial differential equations. Two main results are obtained: (i) error bounds for a class of monotone approximation schemes, which includes finite difference schemes, and (ii) bounds on(More)
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